Description
As a leading global bank with roots in Germany, we're driving change and innovation in the industry - championing integrity, sustainable performance and innovation with our clients, and redefining our culture and relationships with each other. With operations in over 70 countries, we encourage our people to think for themselves and reward integrity. Our large but focused footprint gives us a strong position in Europe plus a significant presence in the Americas and Asia Pacific. We offer clients commercial and investment banking, retail banking and transaction banking as well as ground-breaking asset and wealth management products and services. So if you're talented, collaborative and curious about building an exciting career in finance, you're exactly the type of person who might succeed in our organisation.
Overview:
The Risk division has a fundamental responsibility to protect the Bank. With group-wide responsibility for the management and control of credit, market, operational and reputational risks, we have a unique vantage point which allows us a holistic view of our businesses and our clients. Nearly 4,000 employees work together to achieve our ambition to be an industry-leading risk management organisation.
In an increasingly complex environment, risk management is fast-becoming the most sought after place to build a career within the banking world. Risk at Deutsche Bank is relied upon to help shape the strategy of the organisation and the wider industry agenda.
Key Responsibilities:
- Investigating and test whether new RFR valuation approaches proposed by Quants and Trading are consistent with fair value principles
- Solving valuation methodology issues related to Libor Reform, for example:
- Impacts on calibration of models used to value complex products in various markets, liquidity considerations
- Impacts on IPV methodologies
- Impacts on liquidity and model reserves
- Validity of observability classifications and Day 1 P&L, etc
- Supporting the Independent Price Validation (IPV) teams, by developing and improving existing IPV processes impacted by Libor changes. Including parameter and product level IPV, fair value & model reserves, Prudential Valuation and other valuation considerations
Skills & Qualifications:
- Relevant experience with product valuation of derivative Interest Rate products. In addition, previous use of analytic libraries is useful.
- Good understanding of derivative valuation models-should be able to understand their workings intuitively and be able to communicate with Front Office trading and quants on Model-related issues.
- Ability to produce documentation of a standard to be presented to regulators.
- An inquisitive mind and an analytical, yet practical, mind-set towards addressing and resolving issues.
- Good organisational and communication skills.
Our values define the working environment we strive to create - diverse, supportive and welcoming of different views. We embrace a culture reflecting a variety of perspectives, insights and backgrounds to drive innovation. We build talented and diverse teams to drive business results and encourage our people to develop to their full potential. Talk to us about flexible work arrangements and other initiatives we offer.
We promote good working relationships and encourage high standards of conduct and work performance. We welcome applications from talented people from all cultures, countries, races, genders, sexual orientations, disabilities, beliefs and generations and are committed to providing a working environment free from harassment, discrimination and retaliation.
Please visit our website to find out more about diversity and inclusion at Deutsche Bank.